50% VT 50% Cash

Portfolio Specification

Assets

VANGUARD TOTAL WORLD STOCK INDEX FUND ETF SHARES (VT) 50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) 50.00%

Policy

Rebalancing Interval Annually
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 3m 12d)

Returns (annualized)

Portfolio 5.16%
Benchmark 12.14%

Risk (annualized)

Portfolio 9.73%
Benchmark 20.01%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.61

Excess Return (annualized)

-6.98%

Tracking Error (annualized)

11.28%

Information Ratio

-0.62
Statistic Portfolio Benchmark
Downside Volatility 10.46% 21.24%
Sortino Ratio 0.41 0.57
Calmar Ratio 0.16 0.26
Ulcer Index 15.37 15.02
Max Drawdown 26.99% 47.17%
VaR (99% Confidence) $-2,264 $-4,655
VaR (99.9% Confidence) $-3,007 $-6,183
Beta to Benchmark 0.46 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.69

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4937 0.9830 -0.4893
Size Factor 0.0203 -0.0587 0.0790
Style Factor 0.0060 0.0129 -0.0070
U.S. Tilt (Non U.S.) 0.0078 0.3975 -0.3897

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution